Often they want to keep certain files apart like game level files so you can install your own levels for example. Many programs have separate help files.
Some programs are more complicated too, with multiple parts. Word and Excel are two different programs so of course they would be two different EXE files. But did you also know there are also DLL files that other programs can access? They have to not only be separate files, but also the registry has to say where they are so that they can find them.
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